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RonSea

After some meandering, I finally came back to updating our backtesting spreadsheet (aka Simba), customized with LETF annual returns. This includes my latest research about historical numbers, so the data is a tad different from what I shared a couple of years ago, although the big picture shouldn't...

RonSea

The best hedge against equity volatility is less equity. After this, look beyond TSM indexing to low volatility strategies, or small cap, or value. That may help to a limited degree. Look beyond bonds to some gold. The most contentious hedge would be equity trend following, which lacks the continua...

RonSea

Appreciate the comments everyone! The strategy for purposes of the paper is given in most detail on pg 43 in the notes: you'd be long 2.5% above the money SPX calls only when the index is up 5+% in the previous 63 trading days and long 2.5% below the money puts when the index is down 5+% in previous...

RonSea

One theory about rebalancing is that the rebalancing bonus is the direct result of mean reversion within the assets being rebalanced. If so, then rebalancing should be done at intervals that are similar to the time periods over which mean reversion is seen. William F. Bernstein says this, and he is...

RonSea

After reading about the Dragon Portfolio I'm interested in finding an easy way to long volatility -- preferably without using options. I know there's VXX, TAIL, VIXY, etc but even a tiny position in them doesn't seem worthwhile compared to just reducing equities exposure. Someone on Reddit mentioned...

RonSea

I have read an article about the risk of this portfolio. Would like to know how you guys reckon. https://www.mindfullyinvesting.com/why-not-use-leverage-another-tug-on-the-lever/ Uh, there's one large issue in that the author's calculations assume a perfectly positive TMF-UPRO correlation of 1.0. T...

RonSea

After looking into VIX funds, I'm skeptical that they're a worthwhile hedge right now. Why? First, because today's equity valuations are under the assumption of pretty significant growth (~8.2% per year is the consensus). If growth estimates start to falter then equities could start tanking without ...

RonSea

For the S&P 500, long-term optimal leverage has been about 3x. With quarterly rebalancing the optimal leverage is probably even higher. It's only for more volatile funds / markets that the optimal leverage begins to drop. https://i2.wp.com/deepvalueetfaccumulator.com/wp-content/uploads/2018/07/d...

RonSea

I’m thinking about starting my retirement account with the list below. It’s essentially the Ray Dalio all weather portfolio but with a 2x margin (I’m 28 so lots of time and willing to put up with a lot of volatility.) I was contemplating the 3x but as everyone has said it’s more of a gamble instead...

RonSea

Has anyone looked into the predictability of stock-bond correlations? My best guess is recent correlations can offer slight predictions of near-future correlations, but I haven't done any calculations yet. Has anyone looked into this, or other factors besides recent-correlations that may help predic...

RonSea

Very difficult market all of a sudden. Not sure what happened; hard to imagine the GME stuff causing all this. I see lots of blame on GME but that seems false considering world markets all crashed. Just seems like a normal correction to me. An even larger correction could easily be coming consideri...

RonSea

Well, here is another group of investors that are buying Bitcoin. I wonder why these new investors are buying at record prices? Must not be so smart: Harvard, Yale, Brown Endowments Have Been Buying Bitcoin for at Least a Year: Sources https://www.coindesk.com/harvard-yale-brown-endowments-have-bee...

RonSea

So it had low returns because the price is rising? I guess I’m just not seeing a goldrush mentality and hordes of people rushing into SCV in the last few years compared with everyone buying QQQ and TSLA No, it could have become overvalued after it's massive rise from 1930-1980 and has since been co...

RonSea

Are you insinuating that SCV had high prices because of recent demand, and large-cap/total market had low prices because of low demand, thus explaining the poor factor returns for the last few years? That seems exactly counter to intuition Perhaps SCV has had low returns because its price has risen...

RonSea

Earlier I mentioned that I could never see TYD be worth holding over EDV because of its expense ratio but after looking into it more I've completely changed my mind. TYD seems to have significant advantages over EDV. Even with the expenses TYD has higher CAGR, lower stdev, and more negative market c...

RonSea

https://www.mymoneyblog.com/wordpress/wp-content/uploads/2018/08/GMO_2011-2018-720x491.jpg https://3.bp.blogspot.com/-gJbxpww2yxY/UtbcN3Oh9II/AAAAAAAAYnk/rp6C4CVd5WQ/s1600/GMO+7-Year+2014.png ...Why would anyone keep reading these? Sure he'll eventually be [temporarily] right but the people trustin...

RonSea

After looking into it more (both from simulations and siamond's thread) I'm pretty impressed by how well the smaller-capped 3x etfs perform. 28% small cap still seems wayyyy too high to be comfortable but I now see the decent argument for including mid or small caps in a risk-parity HEFE portfolio. ...

RonSea

I see that this thread remains popular, attracting curious newcomers. I will gently restate my own experience for their consideration, as I also found the strategy compelling. Around December 2019, I committed a significant % of my portfolio to this strategy. Approximately 70/30 UPRO/TMF if memory ...

RonSea

What are people's thoughts on 43% UPRO/57% EDV vs. 100% NTSX? Seem similar in theory. UPRO/EDV is essentially 186% leverage and 69% weighted toward equities, whereas NTSX is 150%, but lower expense ratio and 60% equities. Right now I'm doing 55% UPRO/45% TMF in tax-advantaged, and mostly NTSX and o...

RonSea

Mando 2 Portfolio:
111% bonds (96% ITT, 15% LTT)
124% equities (84% small, 16% mid, 24% large)
22% gold

RonSea

Yeah, I agree with the assessment of the small cap volatility issue. As a way to stay true to the data as I am an engineer :D , I left it alone and part of the results. It does follow reasonably well to the small cap ETF's. You can see in my original post on the geometric efficient frontier that 3x...

RonSea

Following this -- the strategy requirements you laid out are almost identical to what I've been thinking about lately. This is perfect timing too as I've been considering replacing PSLDX in my ROTH with a lower-risk HEFE strategy. The information you've laid out will definitely help a ton. As for my...

RonSea

??? My expectation is for 2s10s to continue steepen based on 1) the short end pinned by Fed, and 2) headline inflation to heat up in 1H'21 based on YoY comparison against 1H'20 -- possible deleterious effects from B117 still to be seen. The Fed is on record saying they will let inflation run hot so...

RonSea

I don't know enough about how/why yield curves flatten but I'm guessing there are more-simple / cheaper ways to accomplish what IVOL does. Such as? I don't know how to trade interest rate futures and I don't think it can be easily replicated with ZN/ZT. Of course thematically one can buy financials...

RonSea

Does anyone add VXX / VIXY to their portfolio? [....] VIX definitely has a negative relationship with US equity markets, particularly when SPX experiences a pronounced move. The problem with investing in an ETF that owns VIX futures is that the futures don't move nearly as much as the VIX, so you a...

RonSea

If anyone ever wants to play around with this in portfolio visualizer this seems to be an approximate simulation: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2021&lastMonth=12&calendarAligned=true&includeYTD=...

RonSea

Does anyone add VXX / VIXY to their portfolio? For the past few months I've held 90% PSLDX 5% IAU 5% JPST in my roth. 3-4% VIXY does well at reducing volatility in backtesting (https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1986&firstMonth=1&endYear...

RonSea

So this fund (made-up of 85% SCHP) has done well because of near-constant increase in the 10-Y minus 2-Y treasury yields (https://fred.stlouisfed.org/series/T10Y2Y) since its inception. During periods when this rate decreases is underperforms SCHP (https://www.portfoliovisualizer.com/backtest-portfo...

RonSea

It seems like both sides are dug in. Let's let the market decide. True. There is no way to know what side (although there's arguably many sides to this conversation) is correct until we wait and see. I feel it may be years or potentially decades before it's obvious. I would certainly be willing to ...

RonSea

Mhhm.

RonSea

After a bit more research and consideration I've decided on my 2021 portfolio. I tried to simulate the portfolio's performance in 2008 and it went okay https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&am...

RonSea

These backtested portfolios are fun, but I don't see how they can be replicated going forward. For starters Long Term Treasury yields are significantly low compared to a decade or two ago. I don't think even NTSX has too much wiggle room considering the low interim yields. In any case, NTSX continu...

RonSea

After thinking it over and reading the thread about improving the all seasons portfolio https://www.bogleheads.org/forum/viewtopic.php?t=206028&start=300 I'm liking the idea of using RPAR in combination with NTSX. RPAR probably isn't worth the expense ratio for most but I like its simplicity whe...

RonSea

Thoughts on adding international, perhaps VSS?

RonSea

Approx backtest to 1991: ( https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=3000&infla...

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Re: Simulating Returns of Leveraged ETFs

Re: Cheapest ways to Long Volatility / Hedge against equity volatility?

Re: Cheapest ways to Long Volatility / Hedge against equity volatility?

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Cheapest ways to Long Volatility / Hedge against equity volatility?

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Re: U.S. stocks in free fall

Re: “New Bitcoin Investors Explain Why They’re Buying at Record Prices“

Re: Vanguard Multifactor fund VFMF has had a bad year

Re: Vanguard Multifactor fund VFMF has had a bad year

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Re: GMO 7 year forecast for Asset classes

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Re: IVOL<== best TIPS ETF?

Re: IVOL<== best TIPS ETF?

Re: Why not 100% PSLDX?

Re: Risk Parity ETF launched (RPAR)

Re: Why not 100% PSLDX?

Re: IVOL<== best TIPS ETF?

Re: If you bought Bitcoin, when do you plan to sell?

Re: If you bought Bitcoin, when do you plan to sell?

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]